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• W2407322609 abstract "This paper reexamines U.S. postwar data to investigate if the observed comovements between money, interest rates, inflation, and output are compatible with the to real interest to output links suggested by existing monetary theories of the business cycle, which include both Keynesian and equilibrium models. We find these theories are incompatible with the data, and in light of these results, we propose an alternative structural model which can account for the major dynamic interactions among the variables. This model has two central features: (i) output is unaffected by the supply, and (ii) the supply process is influenced by policies designed to achieve short-run price stability. DOES MONEY MATTER? This paper reexamines the time-series evidence that changes in the supply have been an important factor in generating postwar U.S. business cycles. Specifically, we investigate whether the observed comovements between money, real interest rates, prices, and output are compatible with existing monetary theories of income determination, which include both traditional Keynesian analysis as well as the newer informationally based equilibrium theories. Our main empirical findings cast strong doubt on the importance of these theories for understanding recent U.S. experience. Rather, we find that most of the dynamic interactions among the key variables can best be explained as arising from an economic structure in which monetary phenomena do not affect real variables. Thus, we conclude that monetary instability has not played an important role in generating fluctuations. The major result of the paper is to show that certain Granger causal orderings fit the data well and that these empirical findings have implications for the validity of various monetary theories of output. This type of time-series methodology was pioneered by Sims [13], who showed that in postwar U.S. data, causality is unidirectional from to income. Although this result is compatible with a variety of theories, it was generally accepted as evidence that money matters for real output. However, this interpretation has been recently challenged by Sims' [15, 16] subsequent finding that is no longer Granger-causally prior for output when nominal interest rates are added to a vector autoregression containing money, output, and prices. Sims found that an upward innovation in nominal interest rates leads to a decline in both and output, and he concluded [15, p. 253] that some of the observed comovements of industrial production and stock are attributed to common responses to surprise changes in the interest rate. This relationship appears in pre- and postwar U.S. data and in postwar French, British, and German data." @default.
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• W2407322609 date "1985-01-01" @default.
• W2407322609 modified "2023-09-27" @default.
• W2407322609 title "A REINTERPRETATION OF POSTWAR U.S. DATA" @default.
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